Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 1 | 1 | 1 |
| Score | -15.28 | -10.19 | -10.02 |
| Market Cap (Millions USD) | 496.97 | 400.12 | 415.22 |
| Predicted Beta | 0.09 | 0.08 | 0.1 |
| Idiosyncratic Volatility | 2.17 | 2.08 | 2.85 |
Annualized return and volatility
| EWM | |
|---|---|
| Annualized Return | 0.0438 |
| Annualized Std Dev | 0.2169 |
| Annualized Sharpe (Rf=0%) | 0.2021 |
Row
Daily Return Statistics
| EWM | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1250 |
| Quartile 1 | -0.0062 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0069 |
| Maximum | 0.0899 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | -0.2923 |
| Kurtosis | 6.6233 |
Downside Risk
| EWM | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0146 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.5212 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0319 |
| Modified VaR (95%) | -0.0215 |
| Modified ES (95%) | -0.0389 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-01-15 | 2008-10-27 | 2010-08-27 | -0.5212 | 673 | 202 | 471 |
| 2000-02-08 | 2001-04-09 | 2005-01-12 | -0.5181 | 1262 | 300 | 962 |
| 2014-08-28 | 2015-08-24 | NA | -0.4015 | 1365 | 255 | NA |
| 2011-07-08 | 2011-10-03 | 2012-09-14 | -0.2225 | 306 | 62 | 244 |
| 2007-02-26 | 2007-03-05 | 2007-04-03 | -0.1811 | 28 | 6 | 22 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -0.9 | -0.9 | 0.0 | 3.0 | 0.0 | 0.0 | 0.0 | -3.2 | 0.0 | 0.0 | -1.1 | 0.0 | -3.1 |
| 2001 | -3.5 | 1.9 | 0.0 | -3.3 | 1.7 | 0.0 | 2.1 | 0.0 | -1.1 | -0.9 | 0.0 | 0.0 | -3.2 |
| 2002 | 0.9 | 2.6 | -0.3 | -0.3 | 0.0 | 0.2 | 0.4 | 0.0 | 1.6 | -0.9 | 0.0 | 0.0 | 4.1 |
| 2003 | 0.0 | 0.0 | -1.0 | -0.6 | 0.0 | 1.3 | -0.3 | 0.0 | 1.2 | 0.0 | 2.8 | 0.0 | 3.3 |
| 2004 | 0.0 | 1.7 | -2.2 | 0.0 | 0.2 | -0.3 | 0.0 | 1.1 | 2.2 | -0.1 | 0.5 | 0.0 | 3.0 |
| 2005 | 0.7 | -1.3 | -0.7 | 0.0 | 0.6 | -0.3 | 0.0 | 0.3 | 0.0 | 0.4 | 0.1 | 0.0 | -0.2 |
| 2006 | -0.6 | 0.4 | 0.0 | 0.0 | 0.7 | 0.0 | -1.2 | 1.2 | 0.0 | -0.1 | 0.1 | 0.0 | 0.5 |
| 2007 | 0.4 | -2.6 | 0.0 | 1.1 | 1.5 | 0.0 | 0.0 | 0.0 | 1.9 | -4.0 | 0.0 | 0.0 | -1.8 |
| 2008 | 1.2 | 0.0 | 1.1 | 1.5 | 0.0 | -1.0 | 0.4 | 0.0 | -0.7 | 0.0 | -6.0 | 0.0 | -3.6 |
| 2009 | 0.0 | 0.0 | 3.6 | 1.0 | 2.0 | 0.9 | 0.0 | -0.5 | -0.3 | 0.0 | 0.8 | 0.0 | 7.7 |
| 2010 | 0.7 | 1.5 | 1.2 | 0.0 | 0.2 | 0.5 | 0.0 | 2.9 | 0.8 | 0.0 | 1.7 | 0.0 | 9.9 |
| 2011 | 1.5 | -0.1 | 1.0 | 0.0 | -1.5 | 1.1 | 0.5 | -0.7 | 0.0 | -3.0 | -1.5 | 0.0 | -2.7 |
| 2012 | 1.0 | 0.7 | 0.0 | 0.0 | -1.9 | 0.0 | 0.1 | 0.0 | 1.2 | 1.5 | 0.0 | 0.0 | 2.6 |
| 2013 | 0.1 | 0.0 | -1.1 | -0.7 | 0.0 | 0.0 | 1.2 | 0.0 | 2.1 | 0.5 | 0.0 | 0.0 | 2.1 |
| 2014 | 0.0 | 0.0 | 0.2 | 0.1 | 0.0 | 0.6 | 0.4 | 0.0 | -0.8 | 0.0 | -2.9 | 0.0 | -2.4 |
| 2015 | 0.0 | 0.0 | 0.5 | 0.5 | -1.0 | 1.5 | 0.0 | -1.9 | -0.9 | 0.0 | 1.7 | 0.0 | 0.4 |
| 2016 | -1.4 | 3.6 | -0.1 | 0.0 | -0.8 | -0.1 | -0.1 | 0.0 | 0.0 | -0.1 | 0.0 | 0.0 | 0.9 |
| 2017 | -0.2 | 0.8 | 0.0 | 0.4 | 0.7 | 0.0 | 0.1 | 0.6 | 0.0 | -0.3 | -0.5 | 0.0 | 1.7 |
| 2018 | -0.1 | -0.4 | 0.0 | -0.9 | 1.0 | 0.0 | -0.9 | 0.0 | -0.2 | 1.6 | 0.0 | 0.0 | -0.1 |
| 2019 | -0.7 | -0.3 | -0.8 | -0.6 | 0.0 | 1.3 | -0.8 | 0.0 | 0.0 | 1.0 | 0.0 | -0.8 | -1.7 |
Row
Rolling Performance Chart
Snail Trail Chart
